Other Publications


January:  Never Forget the Law of Statistical Entropy
Traditional statistics argues that having more data is always preferable to having fewer data. This presumption depends, however, on the assumption of statistical stability of the random process under discussion. For socio-economic analysis based on time-series data, longer samples inevitably incorporate more structural change. This creates an unavoidable trade-off that must never be forgotten.


August:  Extended Shortfalls Redeeming Impact
This whitepaper discusses the technical requirements for the Basel III Expected Shortfall calculation and the optimal system architecture to support the requirements. It argues that an appropriate system would pay big dividends beyond just assuring regulatory compliance.


September:  Risk Management Beyond VaR and Emerging Technologies
I argue that emerging technologies we see every day on your smart phones and other personal devices can revolutionize risk management systems, but it will take time and persistence to make the transition.


September:  Risk Management Beyond VaR - Misys Whitepaper Version
This is a slightly expanded version of my April paper at the Atlanta Fed Conference with some more detailed references.

June:  Value at Risk - A Valuable Tool That Was Greatly Oversold
This bried essay is to a summary of some issues raised in the full Risk Management Beyond VaR paper. It appeared in the Atlanta Fed Notes from the Vault series.

April:  Risk Management Beyond VaR
This paper was presented to the Federal Reserve Bank of Atlanta's 2013 Financial Markets Conference in Stone Mountain Georgia on April 10, 2013.


November:  The Public Use of Private Interest to Revive the U.S. Residential Finance Market
In 1977, Brookings economist Charles Schultze proposed wider application of the Public Use of Private Interest in a book by the same name. In these brief comments I argue that this largely neglected idea is crucial if we are to revive the U.S. residential finance market without open-ended reliance on government guarantees.

July:  Credit Markets: Retrospect and Prospect
This article appears in the 2nd annual Global Credit Review published by the Risk Management Institute of the National University of Singapore. It surveys the development of analytical techniques applied to credit risk analysis from the early 1960s to today. It then considers the likely future changes necessitated, in large part, from harsh lessons learned from the Global Financial Crisis.

July:  The U.S. Residential Finance Market The Road to Recovery
This six page comment appeared as part of a much larger July 2012 white paper published by the National Association of Insurance Commissioners' Center for Insurance Policy Research. (See: http://www.naic.org/documents/cipr_120812_white_paper_financing_home_ownership.pdf ) In it I review the rise and fall of the securitized residential mortgage market and outline an innovation that I believe can be central to restoring the health of this important source of housing finance.


October:  Organizational Balance
Organizational balance is an essential requirement for successful risk management. The prospective requirement in the United States for independent Board-level Risk Committees may support improvement in this area at the very top of financial organizations.

May:  Systemic Risk Lessons for an Age of Uncertainty
This is a PowerPoint presentation to the Spring Meeting of the International Association of Credit Portfolio Managers in London, May 13, 2011.

January:  Why Institutions Failed to Manage Their Risk
This brief essay appeared in The Euromoney Risk Management Handbook 2011. It emphasizes the fundamental difference between risk and uncertainty and the need for firms to evaluate uncertainty using methods quite different from those developed over the past 25 years for analyzing risk. (The complete Handbook can be found at: http://digital.turn-page.com/issue/21869 )


March:  To VaR or Not to VaR?
From Insurance Risk & Capital - Value-at-Risk (VaR) is appropriate and effective for its proper purpose - but it addresses only one of the two key challenges of financial risk management.


July:  An Interview with Sean Lyons
From Corporate Defense Insights: Dispatches from the Front Line Risk Management and Its Role in Corporate Defense - Thoughts on risk management and its future formulated before the worst of the financial crisis broke in September 2008.


January:  The Origins of Value - A Review
From The GARP Risk Review - A review of a book of essays exploring the historical roots of modern finance.


November:  The Future of Risk Management in Historical Perspective
From Financial Engineering News - Four lessons from history that financial risk management should heed.

October:  The Future of Market Risk Management
A SunGard-Adaptiv Whitepaper - The message of this paper went sadly unheeded. Three years later the world reaped the consequences. "All the above pressures for change point in a consistent direction: the need and the capacity to supplement aggregate macro-estimates of potential losses with far more micro-oriented information about the nature and magnitude of specific vulnerabilities ... Technology can provide more nuanced insight into the composition and magnitude of market risk. Doing so requires understanding, will and discipline. Lacking these, market risk information will continue to fall short of its potential and this shortfall will doubtless have severe consequences for some institutions."

May:  The Future of Credit Risk Management - (with Mat Newman)
A SunGard-Adaptiv White Paper - Historical innovations in credit risk management and their implied technology requirements.


January:  The Data Challenge of Basel II (with Dean Jovic)
From The Journal of Securities Operations - The historical obstacles to data consolidation and techniques for overcoming them.


January:  ROWE 2012


September:  The Role of Models in Economic Prediction
A Paper presented at the 1982 Annual Meeting of the National Association of Business Economists - Written more than a quarter century ago, this brief paper considers the balance between science and judgment in economic prediction. While it contains several references to circumstances specific to the time, the central message remains as valid today as it was then.